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[LOGO OF NEW ENGLAND FUNDS APPEARS HERE]
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Annual Report and Performance Update
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New England
Money Market Funds
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June 30, 1995
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<PAGE>
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July 20, 1995
Dear Shareholder:
We have good news to present in this Annual Report for New England Money
Market Funds, which includes your Portfolio Manager's commentary and complete
financial information.
Market Overview
Investors who stayed the course in 1995 were amply rewarded. Major U.S.
stock market indices soared to record highs and the bond market staged a
spectacular comeback from its 1994 lows. Fueling the rally was clear evidence
that the economy had begun to slow down as a result of the interest rate hikes
engineered by the Federal Reserve Board to keep inflation in check. Indeed, with
declining housing starts and rising unemployment numbers reported in the first
half of 1995, expectations grew that the Fed's next move would be downward, to
prevent the slowing economy from slipping into recession.
The bond market surged at the prospect of lower rates, and the stock market
followed suit, with the Standard & Poor's 500(R) Index gaining 20.14% during
the first half of the year. The large, blue-chip companies led the way, in part
because a weak U.S. dollar gave them a competitive advantage overseas and
contributed to surprisingly healthy earnings reports. Finally, on July 6, just
after this reporting period ended, the Fed lowered a key short-term rate by
0.25%, a relatively modest move, but a significant psychological change in
direction.
Your Financial Adviser -- A Trusted Ally
As a shareholder in New England Funds, you have a valuable ally you can
turn to at all times -- your financial adviser. This experienced
<PAGE>
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professional can help you design an asset allocation program suitable to your
goals and risk tolerance. Most important, during times of market volatility or
uncertainty, your adviser can help you avoid making costly mistakes, such as
trying to "time" the market. Investors who go it alone can overreact to short-
term market events, buying and selling on the basis of this week's headlines, or
chasing the latest "hot" investment. Such behavior can derail an otherwise
prudent investment program. But investors who work with a financial adviser
receive guidance throughout the market's ups and downs. Your adviser will help
you place short-term market swings in their proper perspective and keep you
focused on your long-term investment program.
Your adviser is just one of the experts whose talents we have tapped in our
effort to bring the best minds in the business to the task of managing your
money. These experts are a vital part of the investment process at New England
Funds, and we encourage you to take advantage of their skills to the fullest.
We invite you to read the accompanying management commentary and financial
highlights. If you have any questions or comments, please contact your financial
adviser or New England Funds directly at 800-225-5478. Once again, we appreciate
your continued confidence and investment in New England Funds.
Sincerely,
/s/ Peter S. Voss /s/ Henry L.P. Schmelzer
Peter S. Voss Henry L.P. Schmelzer
Chairman President
<PAGE>
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New England Money Market Funds
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NEW ENGLAND MONEY MARKET FUNDS
1995 PERFORMANCE REVIEW
From February 1994 through February 1995, the Federal Reserve Board raised
short-term rates seven times in an effort to slow down a rapidly growing economy
and ward off potential inflationary pressures. Throughout 1994 and into 1995,
yields on New England Money Market Funds rose in response to the Fed's actions.
Indeed, yields reached their highest level in recent years. However, during the
first six months of the year evidence accumulated that the economy had slowed
dramatically in response to the Fed's monetary policy. The markets began to
anticipate that the Fed would be forced to reduce rates to prevent the economy
from slipping into recession. Then, on July 6 (just after the end of this
reporting period), the Fed reversed direction and lowered short-term rates by a
modest 0.25%, signaling a possible change in interest rate policy.
New England Cash Management
Trust -- Money Market Series and
U.S. Government Series
[PHOTO APPEARS HERE]
Portfolio Manager: Scott Nicholson,
Back Bay Advisors, L.P.(R)
Shareholders in New England Cash Management Trust enjoyed high rates throughout
the first half of the year as the effects of the Fed's interest rate hikes
worked their way through the system. At June 30, 1995, the 7-day yield for the
Money Market Series stood at 5.47% (compared to 5.02% on December 31, 1994),
while the 7-day yield for the U.S. Government Series was 5.72%
1
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New England Money Market Funds
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(versus 4.90% on December 31, 1994). The 7-day yields for both Series as of
June 30 continue to compare favorably with the average money market deposit
account (MMDA), which was yielding 3.42%. (Source: Wall Street Journal,
7/6/95)./1/
How We Positioned Your Fund
In a period of rising interest rates, money market fund managers will reduce the
average days to maturity of their Fund's holdings so that assets can be quickly
rolled over into higher-yielding instruments. During periods of declining rates,
the average maturity of the fund will be extended, in order to lock in the
higher yields for as long as possible. At the end of 1994, we believed that
economic growth would perhaps pause for a short while and then continue on its
upward path, leading to continued interest rate hikes by the Fed. Accordingly,
we shortened the average maturity of the Cash Management Trust (which had dipped
as low as 26 days on the Money Market Series at year-end).
In the first few months of 1995, our outlook on the economy began to shift. As
the evidence mounted that the economy was indeed slowing, we thought it less
likely that the Fed would continue raising rates and that it might even reverse
trend. Consequently, we lengthened the average maturity to 55 days for the Money
Market Series and to approximately 50 days for the U.S. Government Series. At
mid-year our outlook is generally positive, although concerns remain that lower
interest rates may spur excessive growth in the economy later in the year.
2
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New England Money Market Funds
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Outlook for Our Shareholders
We have probably seen the peak of the current interest rate cycle and we think
that yields will stabilize or edge downward from their June 30 levels. Of
course, this scenario could change if economic numbers in the latter part of the
year point toward resurgent inflation; we will be looking for signs of an
economic rebound later in the year that would cause the Fed to keep short rates
at current levels for an extended period of time.
No matter the economic climate, however, New England Cash Management Trust can
form a key part of an investor's portfolio. We manage both funds conservatively,
following strict investment guidelines to seek high current income and
stability./1/ For those investors looking for added credit safety, the U.S.
Government Series offers the security of a portfolio made up solely of
instruments backed by the U.S. Government. The U.S. government guarantee applies
to the underlying securities and not to shares of the Fund.
New England Tax Exempt Money
Market Trust
[PHOTO APPEARS HERE]
Portfolio Manager: John Maloney,
Back Bay Advisors, L.P.(R)
Following the strategy described above with the Cash Management Trust, we
extended the average maturity of your Fund from around 44 days at year end 1994
to 62 days at June 30, 1995, in anticipation of lower interest rates. Our goal
was to lock in the higher tax-free yields for as long as possible. At mid-year,
the 7-day yield on
3
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New England Money Market Funds
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the Tax Exempt Money Market Trust stood at 3.64%, which translates into a
taxable equivalent yield of 6.02% for an investor in the maximum federal tax
bracket of 39.6%. We are pleased to report that your Fund's year to date return
placed it in the top quartile of 128 tax exempt money funds, as reported by
Lipper Analytical Services, a leading mutual fund monitoring service./2/
High Quality
Your Fund maintains a very high credit quality, invest-ing only in top tier
municipal securities. In light of the recent news reports concerning Orange
County, California, we would like to emphasize that your Fund does not and did
not hold any Orange County paper, and the California debt we do own is secured
by Letters of Credit.
Supply/Demand Factors
The tax exempt money market is subject to special pressures resulting from a
unique supply/demand situation. For example, June is the largest supply month
for one-year notes and most tax exempt funds will show a lengthening in their
average maturity during this time of the year. In addition, the short-term
municipal market is highly dependent on the dynamics of the intermediate and
long-term markets. If the longer maturity funds are in a defensive mode, they
move more towards highly liquid, short-term securities, such as those held by
your Fund. This buying activity by the long maturity funds exerts downward
pressure on the yields in the short-term market, which is what we have been
experiencing in 1995.
4
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New England Money Market Funds
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Outlook for Our Shareholders
We believe that the current interest rate cycle has peaked and that rates will
most likely stabilize or edge downward from here. Much will depend, of course,
on the pace of economic activity in the latter part of 1995. If the economy
strengthens, then the Fed may be forced to reverse course and increase rates.
However, no matter what the economic climate, shareholders in New England Tax
Exempt Money Market Trust can be confident that their fund is invested in highly
liquid, high-quality instruments, providing current income that is sheltered
from federal income taxes./3/
/1/ Money Market Funds are not insured or guaranteed by the U.S. government.
There can be no assurance that the Funds will maintain a stable net asset
value of $1.00 per share. MMDAs are insured and offer fixed rates for
specified periods.
/2/ Past performance is no guarantee of future results.
/3/ If you receive Social Security benefits, federal taxes may apply.
Alternative minimum taxes may apply to certain shareholders.
5
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New England Money Market Funds
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INVESTMENT RESULTS THROUGH JUNE 30, 1995
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Average Annual Total Returns For Periods Ended 6/30/95*
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<TABLE>
<CAPTION>
6-month 1-year 5-year
(Class A&B) (Class A&B) (Class A)
<S> <C> <C> <C>
New England Cash Management Trust-- 5.52% 4.79% 4.40%
Money Market Series
Donoghue's All-Taxable Peer Group Average 5.52 4.99 4.42
New England Cash Management Trust-- 5.31 4.64 4.27
U.S. Government Series
Donoghue's U.S. Treasury Peer Group Average 5.29 4.77 4.27
New England Tax Exempt 3.65 3.18 3.16
Money Market Trust
Donoghue's Tax Free Peer Group Average 3.43 3.19 3.10
</TABLE>
* Investment results in this table are from IBC/Donoghue's Money Fund Report(R)
for the period ended 6/30/95. Donoghue's taxable, U.S. Treasury and tax-free
peer group averages are unmanaged indices that rank the performance of several
categories of money market funds. Investment results in this table represent
effective annual yields assuming reinvestment of dividends. Figures quoted
above represent past performance and are not a guarantee of future results.
Yields will fluctuate with changes in market conditions. The Trust's
annualized yields for Class A and B for the 7-day period ended June 30, 1995
were 5.47% (Money Market Series), 5.72% (U.S. Government Series) and 3.64%
(Tax Exempt Money Market Trust).
6
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New England Money Market Funds
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Glossary for Mutual Fund Investors
Total Return - The change in value of a mutual fund investment over a specific
time period, assuming all earnings are reinvested in additional shares of the
fund. Expressed as a percentage.
Income Distributions - Payments to shareholders resulting from the net interest
or dividend income earned by a fund's portfolio.
Capital Gains Distributions - Payments to shareholders of profits earned from
selling securities in a fund's portfolio. Capital gains distributions are
usually paid once a year.
Yield - The rate at which a fund pays income. Yield calculations for 7-day
periods are standardized among mutual funds, based on a formula developed by the
Securities and Exchange Commission.
Maturity - Refers to the period of time before principal repayment on a bond is
due. A bond fund's "average maturity" refers to the weighted average of the
maturities of all the individual bonds in the portfolio.
Duration - A measure, stated in years, of a bond or bond fund's sensitivity to
interest rates. Duration is a means to directly compare the volatility of
different instruments. As a general rule, for every 1% move in interest rates, a
fund is expected to fluctuate in value as indicated by its duration. For
example, if interest rates fall by 1%, a fund with a duration of 4 years should
rise in value 4%. Conversely, the fund should decline by 4% if interest rates
rise 1%.
Treasuries - Negotiable debt obligations of the U.S. government, secured by its
full faith and credit. The income from treasury securities is exempt from state
and local income taxes, but not from federal income taxes. There are three types
of treasuries: Bills (maturity of 3-12 months), Notes (maturity of 1-10 years)
and Bonds (maturity of 10-30 years).
Municipal Bond - A debt security issued by a state or municipality to finance
public expenditures. Interest payments are exempt from federal taxes and in most
cases from state and local income taxes. The two main types are General
Obligation (GO) Bonds, which are backed by the full faith and credit and taxing
powers of the municipality; and Revenue Bonds, supported by the revenues from a
municipal enterprise, such as airports and toll bridges.
7
<PAGE>
[LOGO OF NEW ENGLAND FUNDS APPEARS HERE]
Portfolio Composition, Financial Statements and Highlights
NEW ENGLAND
MONEY MARKET
FUNDS
June 30, 1995
<PAGE>
PORTFOLIO COMPOSITION
Cash Management Trust--
Money Market Series
Investments as of June 30, 1995
INVESTMENTS--99.9% OF TOTAL NET ASSETS
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
AMOUNT DESCRIPTION RATE DATE VALUE (A)
--------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
BANKERS ACCEPTANCE--2.3%
$ 5,000,000 Societe Generale.................. 5.740% 8/23/95 $ 4,957,747
4,012,925 State Street Bank................. 6.090% 9/08/95 3,966,084
6,000,000 ABN Amro Bank..................... 5.560% 11/13/95 5,874,900
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Total Bankers Acceptance (Cost $14,798,731).......... 14,798,731
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BANK NOTE--1.5%
10,000,000 First Union National Bank of North
Carolina.......................... 6.040% 5/10/96 10,000,000
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Total Bank Note (Cost $10,000,000)................... 10,000,000
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CERTIFICATES OF DEPOSIT--4.8%
6,000,000 Societe Generale New York......... 6.050% 7/03/95 6,000,000
5,000,000 Bank of Nova Scotia............... 6.000% 8/01/95 5,000,000
5,000,000 Societe Generale New York......... 5.950% 8/14/95 5,000,000
5,000,000 Bank of Nova Scotia............... 5.950% 8/29/95 5,000,000
5,000,000 Commerzbank....................... 6.410% 9/08/95 4,999,814
5,000,000 Swiss Bank........................ 5.930% 9/21/95 5,000,337
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Total Certificates of Deposit (Cost $31,000,151)..... 31,000,151
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CERTIFICATES OF DEPOSIT (EURODOLLARS)--0.7%
5,000,000 Deutsche Bank..................... 6.580% 12/08/95 5,004,660
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Total Certificates of Deposit (Eurodollars) (Cost
$5,004,660)......................................... 5,004,660
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COMMERCIAL PAPER--89.1%
AGRICULTURE--0.6%
4,125,000 Canadian Wheat Board.............. 6.120% 9/27/95 4,063,290
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AUTOMOBILES--8.4%
9,000,000 General Motors Acceptance Corp. .. 5.950% 7/25/95 8,964,300
10,000,000 General Motors Acceptance Corp. .. 5.990% 7/28/95 9,955,075
6,000,000 General Motors Acceptance Corp. .. 5.920% 7/31/95 5,970,400
6,000,000 General Motors Acceptance Corp. .. 5.910% 8/03/95 5,967,495
4,000,000 Ford Motor Credit Corp. .......... 6.100% 8/23/95 3,964,078
7,000,000 Ford Motor Credit Corp. .......... 6.200% 9/11/95 6,913,200
5,700,000 Ford Motor Credit Corp. .......... 6.100% 9/12/95 5,629,494
3,500,000 Ford Motor Credit Corp. .......... 5.910% 9/20/95 3,453,459
4,000,000 Ford Motor Credit Corp. .......... 6.050% 1/08/96 3,871,606
------------
54,689,107
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BANKING--25.0%
5,000,000 Banque Nationale de Paris U.S.
Finance Co. ..................... 6.320% 7/03/95 4,998,244
5,000,000 Banque Nationale de Paris U.S.
Finance Co. ..................... 6.420% 7/03/95 4,998,217
6,000,000 Barclays Bank of Canada........... 5.950% 7/05/95 5,996,033
</TABLE>
See accompanying notes to financial statements.
2
<PAGE>
PORTFOLIO COMPOSITION--continued
Cash Management Trust--
Money Market Series
Investments as of June 30, 1995
INVESTMENTS--CONTINUED
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
AMOUNT DESCRIPTION RATE DATE VALUE (A)
-------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
BANKING--CONTINUED
$ 7,000,000 Norwest Corp. ................... 6.080% 7/05/95 $ 6,995,271
10,000,000 Toronto Dominion Holdings USA,
Inc. ........................... 5.940% 7/10/95 9,985,150
5,000,000 CIT Group Holdings............... 6.070% 7/11/95 4,991,569
4,400,000 Amro North America Finance,
Inc. ........................... 5.940% 7/12/95 4,392,014
2,000,000 CIT Group Holdings............... 5.950% 7/26/95 1,991,736
7,000,000 CIT Group Holdings............... 6.080% 7/26/95 6,970,444
8,000,000 J. P. Morgan & Co., Inc. ........ 6.170% 7/31/95 7,958,867
10,000,000 ABN Bank of Canada............... 5.910% 8/09/95 9,935,975
5,000,000 Bank of Nova Scotia.............. 5.830% 8/10/95 4,967,611
5,000,000 Norwest Corp. ................... 5.950% 8/14/95 4,963,639
10,000,000 Toronto Dominion Holdings USA,
Inc. ........................... 6.200% 8/15/95 9,922,500
7,000,000 Norwest Corp. ................... 5.930% 8/24/95 6,937,735
5,000,000 Royal Bank of Canada............. 5.820% 8/31/95 4,950,692
8,000,000 Commerzbank...................... 5.750% 9/06/95 7,914,389
10,000,000 Barclays Bank of Canada.......... 5.820% 9/08/95 9,888,450
10,000,000 Norwest Corp. ................... 5.880% 9/26/95 9,857,900
5,000,000 ABN Bank of Canada............... 5.800% 9/28/95 4,928,306
7,000,000 Dresdner US Finance Corp. ....... 6.060% 11/01/95 6,855,065
5,000,000 Commerzbank...................... 6.050% 11/02/95 4,895,806
6,000,000 Commerzbank...................... 6.050% 11/20/95 5,856,817
6,000,000 Toronto Dominion Holdings USA,
Inc. ........................... 5.880% 12/18/95 5,833,400
5,800,000 Commerzbank...................... 5.700% 12/21/95 5,641,128
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162,626,958
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DRUGS--5.0%
5,000,000 American Home Products Corp. .... 5.960% 07/07/95 4,995,033
6,000,000 American Home Products Corp. .... 5.970% 07/07/95 5,994,030
4,009,000 American Home Products Corp. .... 5.960% 07/27/95 3,991,743
2,000,000 American Home Products Corp. .... 5.850% 08/03/95 1,989,275
5,000,000 American Home Products Corp. .... 5.950% 08/03/95 4,972,729
7,500,000 American Home Products Corp. .... 5.940% 08/10/95 7,450,500
3,000,000 American Home Products Corp. .... 5.950% 08/24/95 2,973,225
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32,366,535
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ELECTRICAL EQUIPMENT--2.9%
4,000,000 General Electric Capital Corp. .. 6.120% 10/12/95 3,929,960
5,000,000 General Electric Capital Corp. .. 6.460% 10/25/95 4,895,922
5,000,000 General Electric Capital Corp. .. 6.530% 10/31/95 4,889,353
5,000,000 General Electric Capital Corp. .. 6.000% 12/11/95 4,864,167
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18,579,402
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</TABLE>
See accompanying notes to financial statements.
3
<PAGE>
PORTFOLIO COMPOSITION--continued
Cash Management Trust--
Money Market Series
Investments as of June 30, 1995
INVESTMENTS--CONTINUED
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
AMOUNT DESCRIPTION RATE DATE VALUE (A)
-------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FINANCE--32.8%
$ 5,000,000 Sears Roebuck Acceptance Corp. .. 5.980% 7/06/95 $ 4,995,847
4,000,000 USAA Capital Corp. .............. 6.170% 7/07/95 3,995,887
10,000,000 American Express Credit Corp. ... 6.120% 7/12/95 9,981,300
3,770,000 Paccar Financial Corp. .......... 6.130% 7/13/95 3,762,297
10,000,000 Transamerica Financial Group..... 6.080% 7/13/95 9,979,733
9,500,000 Bell Atlantic Financial Services. 5.950% 7/14/95 9,479,588
9,000,000 Weyerhauser Mortgage............. 6.000% 7/19/95 8,973,000
10,000,000 Sears Roebuck Acceptance Corp. .. 5.970% 7/24/95 9,961,858
5,000,000 Avco Financial Services, Inc. ... 5.950% 7/27/95 4,978,514
5,000,000 USAA Capital Corp. .............. 5.920% 7/31/95 4,975,333
4,000,000 American Express Credit Corp. ... 6.110% 8/02/95 3,978,276
5,000,000 Beneficial Corp. ................ 5.850% 8/04/95 4,972,375
8,000,000 Associates Corp. of North
America......................... 5.930% 8/07/95 7,951,242
10,000,000 Household Finance Corp. ......... 5.950% 8/11/95 9,932,236
7,000,000 Sears Roebuck Acceptance Corp. .. 5.950% 8/16/95 6,946,781
8,500,000 Paccar Financial Corp. .......... 5.940% 8/18/95 8,432,680
4,000,000 Avco Financial Services, Inc .... 5.900% 8/21/95 3,966,567
8,000,000 Beneficial Corp. ................ 5.920% 8/21/95 7,932,907
9,000,000 Sears Roebuck Acceptance Corp. .. 5.900% 8/21/95 8,924,138
5,000,000 Beneficial Corp. ................ 5.900% 8/23/95 4,956,569
10,000,000 Avco Financial Services, Inc. ... 5.910% 8/25/95 9,909,708
7,000,000 Hanson Finance PLC............... 5.930% 8/25/95 6,936,582
5,000,000 American Express Credit Corp. ... 6.100% 8/28/95 4,950,861
5,000,000 Hanson Finance PLC............... 5.950% 8/28/95 4,952,069
8,000,000 Hanson Finance PLC............... 5.770% 8/30/95 7,923,067
7,000,000 Avco Financial Services, Inc. ... 5.750% 9/19/95 6,910,556
5,000,000 Hanson Finance PLC............... 5.830% 9/22/95 4,932,793
6,794,000 Transamerica Financial Group..... 6.050% 10/17/95 6,670,689
4,500,000 American Express Credit Corp..... 5.850% 11/08/95 4,404,938
10,000,000 Beneficial Corp. ................ 5.900% 11/21/95 9,765,639
5,000,000 Paccar Financial Corp. .......... 5.900% 11/21/95 4,882,819
2,000,000 American Express Credit Corp. ... 5.900% 12/14/95 1,945,589
------------
213,262,438
------------
INSURANCE--0.8%
5,000,000 Prudential Funding Corp. ........ 6.050% 7/05/95 4,996,639
------------
MANAGEMENT SERVICES--1.4%
6,000,000 PHH Corp. ....................... 5.960% 7/25/95 5,976,160
3,000,000 PHH Corp. ....................... 5.980% 8/08/95 2,981,063
------------
8,957,223
------------
</TABLE>
See accompanying notes to financial statements.
4
<PAGE>
PORTFOLIO COMPOSITION--continued
Cash Management Trust--
Money Market Series
Investments as of June 30, 1995
INVESTMENTS--CONTINUED
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
AMOUNT DESCRIPTION RATE DATE VALUE (A)
-------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
POLLUTION CONTROL--1.6%
$ 5,000,000 WMX Technologies, Inc. ......... 6.170% 11/20/95 $ 4,878,314
5,532,000 WMX Technologies, Inc. ......... 6.200% 11/20/95 5,396,712
------------
10,275,026
------------
SECURITIES--10.6%
4,500,000 Merrill Lynch & Co. ............ 5.980% 7/06/95 4,496,262
6,000,000 Merrill Lynch & Co. ............ 6.000% 7/06/95 5,995,000
5,000,000 Goldman Sachs Group............. 6.230% 7/10/95 4,992,212
5,000,000 Merrill Lynch & Co. ............ 6.000% 7/11/95 4,991,667
7,000,000 Merrill Lynch & Co. ............ 5.970% 7/18/95 6,980,266
6,000,000 Merrill Lynch & Co. ............ 5.970% 7/21/95 5,980,100
7,000,000 Smith Barney Inc. .............. 5.960% 8/01/95 6,964,074
5,000,000 Smith Barney Inc. .............. 5.940% 8/04/95 4,971,950
5,000,000 Goldman Sachs Group............. 6.840% 9/11/95 4,931,600
6,000,000 Goldman Sachs Group............. 6.130% 9/14/95 5,923,375
5,000,000 Goldman Sachs Group............. 6.900% 9/18/95 4,924,292
8,000,000 Goldman Sachs Group............. 5.880% 10/13/95 7,864,107
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69,014,905
------------
Total Commercial Paper (Cost $578,831,523)......... 578,831,523
------------
GOVERNMENT AGENCY--1.5%
4,837,451 Small Business Association
Variable Rate Interest
Certificate (b).................. 7.000% 7/01/95 4,837,451
4,627,355 Small Business Association
Variable Rate Interest
Certificate (b).................. 7.125% 7/01/95 4,627,355
------------
Total Government Agency (Cost $9,464,806).......... 9,464,806
------------
Total Investments--99.9% (Cost $649,099,871) (c)... 649,099,871
Receivables........................................ 7,226,596
Liabilities........................................ (6,518,011)
------------
Total Net Assets--100%............................. $649,808,456
============
</TABLE>
(a) See note 1a.
(b) Variable rate interest certificates are instruments whose interest rates
vary with changes in a designated base rate on a specific date. This
certificate resets interest quarterly based on the prime interest rate.
The maturity date shown is the next interest reset date. The final
maturity on these certificates are 8/25/18 and 4/25/19, respectfully.
(c) The aggregate cost for federal income tax purposes was $649,099,871.
Percentage of Net Assets invested in obligations of foreign banks or foreign
branches of U.S. Banks at June 30, 1995:
Canada 7.03%
France 3.99% Netherlands 3.87%
Germany 6.34% Switzerland 0.77%
Great Britain 2.44%
See accompanying notes to financial statements.
5
<PAGE>
PORTFOLIO COMPOSITION--continued
Cash Management Trust
U.S. Government Series
Investments as of June 30, 1995
INVESTMENTS--96.9% OF TOTAL NET ASSETS
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
AMOUNT DESCRIPTION RATE DATE VALUE (A)
--------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
GOVERNMENT AGENCY--12.8%
$ 4,543,136 Small Business
Administration, Variable
Rate Interest Certificate
(b)........................ 6.750% 7/01/95 $ 4,543,136
3,083,165 Small Business
Administration, Variable
Rate Interest Certificate
(b)........................ 7.375% 7/01/95 3,083,165
-----------
Total Government Agency (Cost $7,626,301).... 7,626,301
-----------
U.S. GOVERNMENT--34.6%
6,000,000 U.S. Treasury Bill........ 5.890% 7/20/95 5,981,348
7,000,000 U.S. Treasury Bill........ 5.835% 11/16/95 6,843,428
8,000,000 U.S. Treasury Bill........ 6.010% 11/16/95 7,815,693
-----------
Total U.S. Government (Cost $20,640,469)..... 20,640,469
-----------
REPURCHASE AGREEMENTS--
49.5%
24,600,000 Repurchase Agreement with Goldman Sachs &
Co. dated 6/30/95 at 6.00% to be
repurchased at $24,612,300 on 7/03/95
collateralized by $19,525,000 U.S. Treasury
Bonds, 10.75% due 5/15/03, with a value of
$25,232,466................................. 24,600,000
5,000,000 Repurchase Agreement with Goldman Sachs &
Co. dated 6/01/95 at 5.95% to be
repurchased at $5,099,167 on 9/29/95
collateralized by $5,308,499 Government
National Mortgage Association II ARM, 4%
due 8/20/24, with a value of $5,067,670..... 5,000,000
-----------
Total Repurchase Agreements (Cost
$29,600,000)................................ 29,600,000
-----------
Total Investments--96.9% (Cost $57,866,770)
(c)......................................... 57,866,770
Cash and Receivables......................... 2,033,796
Liabilities.................................. (158,073)
-----------
Total Net Assets--100%....................... $59,742,493
===========
</TABLE>
(a) See note 1a.
(b) Variable rate interest certificates are instruments whose interest rates
vary with changes in a designated base rate on a specific date. These
certificates reset interest quarterly based on the prime interest rate.
The maturity dates shown are the next interest reset date. The final
maturities on these certificates are 9/25/18 and 5/25/16 respectively.
(c) The aggregate cost for federal income tax purposes was $57,866,770.
See accompanying notes to financial statements.
6
<PAGE>
PORTFOLIO COMPOSITION--continued
Tax Exempt Money Market Trust
Investments as of June 30, 1995
TAX EXEMPT OBLIGATIONS--105.1% OF TOTAL NET ASSETS
<TABLE>
<CAPTION>
FACE
AMOUNT ISSUER VALUE (A)
--------------------------------------------------------------------------------
<C> <S> <C>
ALABAMA--1.2%
$ 800,000 Winfield Industrial Revenue Bond Floating Rate 4.250%
(b).................................................. $ 800,000
-----------
ALASKA--0.8%
500,000 State Certificates of Partnership in Rent 9.700%,
10/01/95 (c)......................................... 515,590
-----------
ARIZONA--6.6%
500,000 Pima County Sewer Revenue Bond Anticipation Note
7.200%, 7/01/95...................................... 500,000
1,000,000 Mesa Municipal Development Commercial Paper 3.300%,
7/12/95.............................................. 1,000,000
1,000,000 Mesa Municipal Development Commercial Paper 4.200%,
7/25/95.............................................. 1,000,000
2,000,000 Maricopa County School District Bond Anticipation Note
4.700%, 7/28/95 (e).................................. 2,000,712
-----------
4,500,712
-----------
CALIFORNIA--6.7%
500,000 California Student Loan Bond Anticipation Note 3.900%,
7/01/95.............................................. 500,000
1,500,000 Los Angeles County Bond Anticipation Note 4.500%,
7/01/96 (d).......................................... 1,510,050
2,000,000 San Bernardino County Bond Anticipation Note 4.500%,
7/05/96 (d).......................................... 2,010,520
500,000 California Health Facilities Floating Rate 4.300% (b). 500,000
-----------
4,520,570
-----------
COLORADO--5.0%
1,500,000 Arapahoe County Capital Improvement Highway Revenue
Bonds 4.450%, 8/31/95 (e)............................ 1,500,000
1,900,000 Student Obligation Board Authority Floating Rate
4.350% (b)........................................... 1,900,000
-----------
3,400,000
-----------
CONNECTICUT--0.5%
335,000 Connecticut State Special Tax & Obligation 8.700%,
10/15/95 (c)......................................... 346,225
-----------
DISTRICT OF COLUMBIA--4.7%
3,200,000 District of Columbia Floating Rate 4.700% (b)......... 3,200,000
-----------
FLORIDA--18.2%
500,000 West Orange County Memorial Hospital Commercial Paper
4.600%, 7/03/95...................................... 500,000
500,000 Sarasota County Public Hospital Commercial Paper
4.150%, 7/10/95...................................... 500,000
500,000 Sarasota County Public Hospital Commercial Paper
4.650%, 7/10/95...................................... 499,996
500,000 Sunshine State Governmental Financing Commercial Paper
4.150%, 8/01/95...................................... 500,000
500,000 Sarasota County Public Hospital District Commercial
Paper 4.100%, 8/02/95................................ 500,000
600,000 Alachua County Health Facilities Commercial Paper
4.300%, 8/09/95...................................... 600,000
1,000,000 West Orange County Memorial Hospital Commercial Paper
3.800%, 8/17/95...................................... 1,000,000
1,000,000 Alachua County Health Facilities Commercial Paper
4.300%, 9/05/95...................................... 1,000,000
500,000 Alachua County Health Facilities Commercial Paper
3.900%, 9/08/95...................................... 500,000
500,000 Alachua County Health Facilities Commercial Paper
3.750%, 9/11/95...................................... 500,000
600,000 Alachua County Health Facilities Commercial Paper
4.250%, 9/12/95...................................... 600,000
700,000 Sunshine State Governmental Financing Commercial Paper
3.600%, 10/23/95..................................... 700,000
950,000 Sarasota County Public Hospital Commercial Paper
3.700%, 11/20/95..................................... 950,000
</TABLE>
See accompanying notes to financial statements.
7
<PAGE>
PORTFOLIO COMPOSITION--continued
Tax Exempt Money Market Trust
Investments as of June 30, 1995
TAX EXEMPT OBLIGATIONS--CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT ISSUER VALUE (A)
--------------------------------------------------------------------------------
<C> <S> <C>
FLORIDA--CONTINUED
$ 700,000 Dade County Special Obligation Floating Rate 4.300%
(b).................................................. $ 700,000
200,000 Dade County Health Facilities Floating Rate 4.450%
(b).................................................. 200,000
3,100,000 Broward County Housing Finance Authority Floating Rate
4.450% (b)........................................... 3,100,000
-----------
12,349,996
-----------
GEORGIA--9.2%
Gwinnett County Industrial Development Authority
800,000 Floating Rate 4.25% (b).............................. 800,000
College Park Business & Industrial Development
200,000 Floating Rate 4.450% (b)............................. 200,000
Columbus Downtown Development Authority Floating Rate
2,000,000 4.300% (b)........................................... 2,000,000
Fulton County Municipal Housing Authority Floating
3,220,000 Rate 4.450% (b)...................................... 3,220,000
-----------
6,220,000
-----------
HAWAII--0.9%
State Department of Budget and Finance Floating Rate
600,000 4.850% (b)........................................... 600,000
-----------
ILLINOIS--8.8%
1,000,000 City of Chicago Commercial Paper 4.150%, 7/19/95...... 1,000,000
1,000,000 Development Finance Authority Pollution Control
Commercial Paper
4.150%, 7/25/95...................................... 1,000,000
1,000,000 Development Finance Authority Pollution Control
Commercial Paper
3.600%, 11/16/95..................................... 1,000,000
1,000,000 Health Facilities Authority Floating Rate 4.200% (b).. 1,000,000
Saint Charles Industrial Development Revenue Floating
2,000,000 Rate 4.100% (b)...................................... 2,000,000
-----------
6,000,000
-----------
INDIANA--6.8%
400,000 Jasper Industrial Pollution Control Revenue Commercial
Paper
4.150%, 7/05/95...................................... 400,000
1,000,000 Jasper Industrial Pollution Control Revenue Commercial
Paper
4.150%, 8/01/95...................................... 1,000,000
700,000 Jasper Industrial Pollution Control Revenue Commercial
Paper
4.100%, 8/03/95...................................... 700,000
500,000 Jasper Industrial Pollution Control Revenue Commercial
Paper
4.150%, 8/07/95...................................... 500,000
500,000 Jasper Industrial Pollution Control Revenue Commercial
Paper
3.700%, 11/21/95..................................... 500,000
1,500,000 Fort Wayne Hospital Floating Rate 4.200% (b).......... 1,500,000
-----------
4,600,000
-----------
IOWA--6.6%
Iowa Municipalities Workers Bond Anticipation Note
1,415,000 3.950%, 7/01/95...................................... 1,415,000
3,000,000 Iowa School Corps Commercial Paper 4.750%, 6/28/96.... 3,025,768
-----------
4,440,768
-----------
</TABLE>
See accompanying notes to financial statements.
8
<PAGE>
PORTFOLIO COMPOSITION--continued
Tax Exempt Money Market Trust
Investments as of June 30, 1995
TAX EXEMPT OBLIGATIONS--CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT ISSUER VALUE (A)
--------------------------------------------------------------------------------
<C> <S> <C>
KANSAS--2.9%
Burlington Pollution Control Commercial Paper 4.200%,
$1,000,000 7/21/95............................................... $ 1,000,000
Burlington Pollution Control Commercial Paper 4.200%,
1,000,000 8/04/95............................................... 1,000,000
-----------
2,000,000
-----------
KENTUCKY--2.1%
Pendleton County Bond Anticipation Note 3.750%,
900,000 7/01/95............................................... 900,000
Pendleton County Bond Anticipation Note 4.000%,
500,000 7/01/96............................................... 500,000
-----------
1,400,000
-----------
LOUISIANA--5.2%
300,000 Louisiana State Recovery Floating Rate 4.350% (b)..... 300,000
Louisiana Public Facilities Hospital Authority
3,200,000 Floating Rate 4.450% (b).............................. 3,200,000
-----------
3,500,000
-----------
MINNESOTA--3.4%
500,000 Owatonna Hospital Revenue Floating Rate 4.250% (b).... 500,000
1,770,000 Mendota Heights Floating Rate 4.100% (b).............. 1,770,000
-----------
2,270,000
-----------
PENNSYLVANIA--1.3%
Bucks County Industrial Development Floating Rate
900,000 4.250% (b)............................................ 900,000
-----------
SOUTH CAROLINA--1.0%
Charleston Industrial Revenue Floating Rate 4.100%
700,000 (b)................................................... 700,000
-----------
TEXAS--9.0%
Austin Utility Service Commercial Paper 4.100%,
500,000 7/05/95............................................... 500,000
600,000 North Central Health Facilities Development Commercial
Paper
4.100%, 8/02/95...................................... 600,000
500,000 North Central Health Facilities Development Commercial
Paper
4.125%, 8/02/95...................................... 500,000
Austin Utility Service Commercial Paper 4.150%,
500,000 8/07/95............................................... 500,000
Austin Utility Service Commercial Paper 3.650%,
500,000 9/14/95............................................... 500,000
Austin Utility Service Commercial Paper 4.100%,
1,000,000 9/14/95............................................... 1,000,000
1,000,000 North Central Health Facilities Development Commercial
Paper
3.400%, 10/03/95..................................... 1,000,000
1,000,000 North Central Health Facilities Development Commercial
Paper
3.600%, 11/17/95..................................... 1,000,000
Nueces County Health Facilities Floating Rate 4.300%
500,000 (b)................................................... 500,000
-----------
6,100,000
-----------
</TABLE>
See accompanying notes to financial statements.
9
<PAGE>
PORTFOLIO COMPOSITION--continued
Tax Exempt Money Market Trust
Investments as of June 30, 1995
TAX EXEMPT OBLIGATIONS--CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT ISSUER VALUE (A)
--------------------------------------------------------------------------------
<C> <S> <C>
UTAH--3.5%
$ 870,000 Utah State Bond Anticipation Note 4.600%, 7/01/95.... $ 870,000
500,000 Emery Pollution Control Revenue Commercial Paper
4.250%, 7/06/95..................................... 500,000
1,000,000 Emery Pollution Control Revenue Commercial Paper
3.600%, 10/20/95.................................... 1,000,000
-----------
2,370,000
-----------
WEST VIRGINIA--0.7%
500,000 State Hospital Finance Authority Floating Rate 4.300%
(b)................................................. 500,000
-----------
Total Investments--105.1% (Identified Cost
$71,233,861) (f).................................... 71,233,861
Cash and Receivables................................. 968,267
Liabilities.......................................... (4,404,815)
-----------
Total Net Assets--100%............................... $67,797,313
===========
</TABLE>
(a) See Note 1a.
(b) Floating rate notes are instruments whose interest rates vary with changes
in a designated base rate such as the prime interest rate. These
instruments are payable on demand and are secured by letters of credit or
other credit support agreements from major banks.
(c) These are prerefunded securities. The dates shown are the prerefunded
dates. The final maturity dates on these securities are 10/01/07 and
10/15/05, respectively.
(d) Purchased on a when-issued basis. See Note 1d.
(e) These securities or a portion thereof are being used to collateralize the
when-issued purchases indicated in note (d) above.
(f) The aggregate cost for federal income tax purposes was $71,233,861.
See accompanying notes to financial statements.
10
<PAGE>
STATEMENT OF ASSETS & LIABILITIES
June 30, 1995
<TABLE>
<CAPTION>
CASH MANAGEMENT TRUST
---------------------------- TAX EXEMPT
MONEY MARKET U.S. GOVERNMENT MONEY MARKET
SERIES SERIES TRUST
------------ --------------- ------------
<S> <C> <C> <C>
ASSETS
Investments at value
Securities......................... $649,099,871 $28,266,770 $71,233,861
Repurchase agreements.............. -- 29,600,000 --
------------ ----------- -----------
Total investments................. 649,099,871 57,866,770 71,233,861
Cash............................... -- 58,430 135,763
Receivable for:
Shares of the Trust sold........... 6,723,430 1,876,814 342,461
Security paydowns.................. 13,200 5,193 --
Interest........................... 489,966 93,359 490,043
------------ ----------- -----------
656,326,467 59,900,566 72,202,128
------------ ----------- -----------
LIABILITIES
Payable for:
Shares of the Trust redeemed....... 5,832,400 74,473 305,191
Securities purchased............... -- -- 4,020,570
Dividends declared................. 28,834 2,423 850
Due to Custodian Bank.............. 244,207 -- --
Accrued expenses:
Management fees.................... 225,056 19,665 4,556
Deferred trustees' fees............ 25,630 24,564 29,691
Other expenses..................... 161,884 36,948 43,957
------------ ----------- -----------
6,518,011 158,073 4,404,815
------------ ----------- -----------
NET ASSETS.......................... $649,808,456 $59,742,493 $67,797,313
============ =========== ===========
Net Assets consist of:
Capital paid in Class A shares..... $645,225,499 $59,087,045 $67,360,908
Capital paid in Class B shares..... 4,582,957 655,448 436,405
------------ ----------- -----------
NET ASSETS.......................... $649,808,456 $59,742,493 $67,797,313
============ =========== ===========
Shares of beneficial interest
outstanding, no par value Class A
shares............................ 645,225,499 59,087,045 67,360,908
Shares of beneficial interest
outstanding, no par value Class B
shares............................ 4,582,957 655,448 436,405
------------ ----------- -----------
Shares of beneficial interest
outstanding....................... 649,808,456 59,742,493 67,797,313
============ =========== ===========
Net asset value per share Class A
and Class B shares*............... $1.00 $1.00 $1.00
============ =========== ===========
Cost of investments................. $649,099,871 $57,866,770 $71,233,861
============ =========== ===========
</TABLE>
*Shares of the Series are sold and redeemed at net asset value (Net assets /
Shares of beneficial interest outstanding).
See accompanying notes to financial statements.
11
<PAGE>
STATEMENT OF OPERATIONS
Year Ended June 30, 1995
<TABLE>
<CAPTION>
CASH MANAGEMENT TRUST
---------------------------- TAX EXEMPT
MONEY MARKET U.S. GOVERNMENT MONEY MARKET
SERIES SERIES TRUST
------------ --------------- ------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest........................... $37,058,454 $3,281,743 $2,614,894
----------- ---------- ----------
Expenses
Management fees.................... 2,796,164 255,727 281,837
Trustees' fees..................... 28,723 17,800 17,732
Custodian.......................... 141,079 44,092 52,637
Transfer agent..................... 2,681,811 144,953 129,893
Audit and tax services............. 27,000 27,000 29,000
Legal.............................. 10,048 10,048 11,048
Printing........................... 107,169 6,567 6,081
Registration....................... 37,567 40,127 59,134
Insurance.......................... 8,503 718 841
Miscellaneous...................... 16,275 7,632 7,769
----------- ---------- ----------
5,854,339 554,664 595,972
Less--waiver of fee by investment
adviser.......................... -- -- (199,639)
----------- ---------- ----------
Net investment income.............. 31,204,115 2,727,079 2,218,561
REALIZED GAIN (LOSS) ON
INVESTMENTS--NET................... 794 -- (415)
----------- ---------- ----------
NET INCREASE IN NET ASSETS FROM
OPERATIONS......................... $31,204,909 $2,727,079 $2,218,146
=========== ========== ==========
</TABLE>
See accompanying notes to financial statements.
12
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CASH MANAGEMENT TRUST
------------------------------------------------------------ TAX EXEMPT
MONEY MARKET SERIES U.S. GOVERNMENT SERIES MONEY MARKET TRUST
------------------------------ ---------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, 1994 JUNE 30, 1995 JUNE 30, 1994 JUNE 30, 1995 JUNE 30, 1994 JUNE 30, 1995
-------------- -------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income... $ 19,106,073 $ 31,204,115 $ 1,596,898 $ 2,727,079 $ 1,208,979 $ 2,218,561
Net realized gain (loss)
from investments....... 490 794 -- -- (414) (415)
-------------- -------------- ------------ ------------ ----------- ------------
Increase in net assets
from operations........ 19,106,563 31,204,909 1,596,898 2,727,079 1,208,565 2,218,146
-------------- -------------- ------------ ------------ ----------- ------------
FROM DISTRIBUTIONS TO
SHAREHOLDERS.......... (19,106,563) (31,204,909) (1,596,898) (2,727,079) (1,208,565) (2,218,146)
-------------- -------------- ------------ ------------ ----------- ------------
FROM CAPITAL SHARE
TRANSACTIONS..........
Proceeds from the sale
of shares.............. 1,201,665,845 1,103,481,598 103,988,803 107,616,822 97,941,744 114,083,133
Net asset value of share
issued in connection
with the reinvestment
of dividends from net
investment income...... 18,645,090 30,418,561 1,552,275 2,654,498 1,188,380 2,176,771
Cost of shares redeemed. (1,296,855,395) (1,183,461,017) (111,173,577) (109,491,682) (89,065,116) (115,082,758)
-------------- -------------- ------------ ------------ ----------- ------------
Increase (decrease) in
net assets derived from
capital share
transactions........... (76,544,460) (49,560,858) (5,632,499) 779,638 10,065,008 1,177,146
-------------- -------------- ------------ ------------ ----------- ------------
Total increase
(decrease) in net
assets................. (76,544,460) (49,560,858) (5,632,499) 779,638 10,065,008 1,177,146
NET ASSETS
Beginning of the year... 775,913,774 699,369,314 64,595,354 58,962,855 56,555,159 66,620,167
-------------- -------------- ------------ ------------ ----------- ------------
End of the year......... $ 699,369,314 $ 649,808,456 $ 58,962,855 $ 59,742,493 $66,620,167 $ 67,797,313
============== ============== ============ ============ =========== ============
</TABLE>
See accompanying notes to financial statements.
13
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FROM INVESTMENT OPERATIONS
----------------------------------------------
NET NET
ASSET REALIZED AND TOTAL
VALUE AT NET UNREALIZED FROM
BEGINNING INVESTMENT GAIN (LOSS) INVESTMENT
OF PERIOD INCOME ON INVESTMENTS OPERATIONS
--------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
CASH MANAGEMENT TRUST--MONEY
MARKET SERIES
Year Ended June 30,
1991........................... $1.00 $0.0693 $ -- $0.0693
1992........................... 1.00 0.0450 -- 0.0450
1993........................... 1.00 0.0275 -- 0.0275
1994........................... 1.00 0.0264 -- 0.0264
1995........................... 1.00 0.0469 -- 0.0469
CASH MANAGEMENT TRUST--U.S.
GOVERNMENT SERIES
Year Ended June 30,
1991........................... $1.00 $0.0660 $0.0001 $0.0661
1992........................... 1.00 0.0449 -- 0.0449
1993........................... 1.00 0.0271 -- 0.0271
1994........................... 1.00 0.0257 -- 0.0257
1995........................... 1.00 0.0454 -- 0.0454
TAX EXEMPT MONEY MARKET TRUST
Year Ended June 30,
1991........................... $1.00 $0.0483 $ -- $0.0483
1992........................... 1.00 0.0337 -- 0.0337
1993........................... 1.00 0.0214 -- 0.0214
1994........................... 1.00 0.0208 -- 0.0208
1995........................... 1.00 0.0314 -- 0.0314
</TABLE>
(a) Including net realized gain on investments.
(b) In the case of New England Tax Exempt Money Market Trust, the ratio of
operating expenses to average net assets without giving effect to the
voluntary expense limitation described in Note 3 to the Financial
Statements would have been 0.76%, 0.76%, 0.83%, .89% and .85% for the years
ended June 30, 1991, 1992, 1993, 1994, and 1995.
See accompanying notes to financial statements.
14
<PAGE>
FINANCIAL HIGHLIGHTS continued
<TABLE>
<CAPTION>
LESS DISTRIBUTIONS RATIOS/SUPPLEMENTAL DATA
------------------------ ---------------------------------
RATIO OF RATIO OF
NET NET OPERATING NET
DIVIDENDS ASSET ASSETS EXPENSES TO INCOME TO
FROM NET VALUE AT TOTAL END OF AVERAGE AVERAGE
INVESTMENT TOTAL END RETURN PERIOD NET ASSETS NET ASSETS
INCOME (A) DISTRIBUTIONS OF PERIOD (%) (000) (%) (B) (%)
---------- ------------- --------- ------ ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
$(0.0693) $(0.0693) $1.00 7.15 $1,150,963 0.68 6.92
(0.0450) (0.0450) 1.00 4.58 925,077 0.73 4.56
(0.0275) (0.0275) 1.00 2.84 775,914 0.79 2.78
(0.0264) (0.0264) 1.00 2.68 699,369 0.84 2.65
(0.0469) (0.0469) 1.00 4.79 649,808 0.88 4.67
$(0.0661) $(0.0661) $1.00 6.80 $87,380 0.74 6.50
(0.0449) (0.0449) 1.00 4.57 79,218 0.73 4.50
(0.0271) (0.0271) 1.00 2.80 64,595 0.78 2.73
(0.0257) (0.0257) 1.00 2.60 58,963 0.84 2.54
(0.0454) (0.0454) 1.00 4.64 59,742 0.92 4.53
$(0.0483) $(0.0483) $1.00 4.93 $72,634 0.56 4.81
(0.0337) (0.0337) 1.00 3.41 65,753 0.56 3.38
(0.0214) (0.0214) 1.00 2.20 56,555 0.56 2.14
(0.0208) (0.0208) 1.00 2.10 66,620 0.56 2.08
(0.0314) (0.0314) 1.00 3.18 67,797 0.56 3.15
</TABLE>
See accompanying notes to financial statements.
15
<PAGE>
NOTES TO FINANCIAL STATEMENTS
June 30, 1995
1. SIGNIFICANT ACCOUNTING POLICIES. New England Cash Management Trust and New
England Tax Exempt Money Market Trust (the "Trusts") are registered under the
Investment Company Act of 1940, as amended, as diversified, open-end investment
companies.
NEW ENGLAND CASH MANAGEMENT TRUST--The Trust's Agreement and Declaration of
Trust permits the issuance of an unlimited number of shares of beneficial
interest, no par value, in separate Series, with shares of each Series
representing interests in a separate portfolio of assets. Effective September
13, 1993, each Series began offering two classes of shares, Class A and Class
B, in order to enable investors in either class of the New England Stock or
Bond Funds to invest in money market shares. Class A and B shares are identical
except that Class B shares may be subject to a contingent deferred sales charge
upon redemption if the shares were acquired by exchange of Class B shares of a
stock or bond fund. Each Series is separately managed and has its own
objectives and policies. The Trust is comprised of the Money Market Series and
the U.S. Government Series.
NEW ENGLAND TAX EXEMPT MONEY MARKET TRUST--The Trust's Agreement and
Declaration of Trust permits the issuance of an unlimited number of shares of
beneficial interest, no par value. Effective September 13, 1993, the Trust
began offering two classes of shares, Class A and Class B, in order to enable
investors in either class of the New England Stock or Bond Funds to invest in
money market shares. Class A and B shares are identical except that Class B
shares may be subject to a contingent deferred sales charge upon redemption if
the shares were acquired by exchange of Class B shares of a stock or bond fund.
The following is a summary of significant accounting policies followed by the
Trusts in the preparation of the financial statements. The policies are in
conformity with generally accepted accounting principles for investment
companies.
A. SECURITY VALUATION. The Trusts employ the amortized cost method of security
valuation as set forth in Rule 2a-7 under the Investment Company Act of 1940
which, in the opinion of the trustees of each Trust, represents the fair value
of the particular security. The amortized cost of a security is determined by
valuing it at original cost and thereafter amortizing any discount or premium
on a straight-line basis.
B. REPURCHASE AGREEMENTS. The Trusts, through their custodian, receive delivery
of the underlying securities collateralizing repurchase agreements. It is the
Trust's policy that the market value of the collateral be at least equal to
100% of the repurchase price. Back Bay Advisors, L.P. ("Back Bay Advisors") is
responsible for determining that the value of the collateral is at all times at
least equal to the repurchase price. In connection with transactions in
repurchase agreements, if the seller defaults and the value of the collateral
declines or if the seller enters an insolvency proceeding, realization of the
collateral by the Trusts may be delayed or limited.
16
<PAGE>
NOTES TO FINANCIAL STATEMENTS--continued
June 30, 1995
C. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME. Security transactions
are accounted for on the trade date (date the order to buy or sell is executed)
and interest income is recorded on the accrual basis. In determining the net
gain or loss on securities sold, the cost of securities is determined on the
identified cost basis.
D. WHEN-ISSUED SECURITIES. Delivery and payment for securities purchased on a
when-issued or delayed delivery basis can take place one month or more after
the date of the transaction. The securities so purchased are subject to market
fluctuation during this period. At June 30, 1995, the cost of when issued
purchase commitments for the Tax Exempt Money Market Trust amounted to
$3,520,570.
E. FEDERAL INCOME TAXES. Each Series of the Cash Management Trust and the Tax
Exempt Money Market Trust intends to meet the requirements of the Internal
Revenue Code applicable to regulated investment companies, and to distribute to
its shareholders all of its taxable and tax exempt income. Accordingly, no
provision for federal income tax has been made.
F. DIVIDENDS TO SHAREHOLDERS. Dividends are declared daily to shareholders of
record at the time and are paid monthly.
G. OTHER. Each of the Trusts invests primarily in a portfolio of money market
instruments maturing in 397 days or less whose ratings are within the two
highest ratings categories of a nationally recognized rating agency or, if not
rated, are believed to be of comparable quality. The ability of the issuers of
the securities held by the Trusts to meet their obligations may be affected by
foreign, economic, political and legal developments in the case of foreign
banks or foreign branches or subsidiaries of U.S. banks, or domestic, economic
developments in a specific industry, state or region.
2. INVESTMENT TRANSACTIONS.
For the year ended June 30, 1995:
NEW ENGLAND CASH MANAGEMENT TRUST--Purchase and sales or maturities of short-
term obligations, including securities purchased subject to repurchase
agreements, aggregated $5,993,472,617 and $6,075,795,455, respectively, for the
Money Market Series. Purchases and sales or maturities of United States
government obligations, including securities purchased subject to repurchase
agreements, aggregated $8,776,548,418 and $8,778,942,830, respectively, for the
U.S. Government Series.
NEW ENGLAND TAX EXEMPT MONEY MARKET TRUST--Purchases and sales or maturities of
short-term obligations aggregated $225,482,192 and $225,654,330, respectively.
3. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
A. During the year ended June 30, 1995, the Trusts incurred management fees
payable to the Trusts' investment adviser, Back Bay Advisors, certain officers
and directors of which are also officers and trustees of the Trusts. Back Bay
Advisors is a
17
<PAGE>
NOTES TO FINANCIAL STATEMENTS--continued
June 30, 1995
wholly-owned subsidiary of New England Investment Companies, L.P. ("NEIC")
which is a majority owned subsidiary of New England Mutual Life Insurance
Company.
NEW ENGLAND CASH MANAGEMENT TRUST--Under the Management agreements, each Series
pays Back Bay Advisors a monthly fee based on the annual percentage rates of
the corresponding levels of that Series' average daily net asset values as set
forth below:
<TABLE>
<CAPTION>
ANNUAL
PERCENTAGE
RATE ANNUAL NET ASSET VALUE LEVELS
---------- -------------------------------
<S> <C>
.425% the first $500 million
.400% the next $500 million
.350% the next $500 million
.300% the next $500 million
.250% amounts in excess of $2 billion
</TABLE>
During the year ended June 30, 1995, the Money Market Series incurred
management fees of $2,796,164 and the U.S. Government Series incurred
management fees of $255,727.
NEW ENGLAND TAX EXEMPT MONEY MARKET TRUST--The management agreement provides
for a fee at the annual rate of 4/10 of 1% on the first $100,000,000 of the
Trust's average daily net assets and 3/10 of 1% on average daily net assets
above this amount. During the year ended June 30, 1995, the Trust incurred
gross management fees of $281,837.
Back Bay Advisors has voluntarily agreed, until further notice, to reduce the
management fee and, if necessary, to assume Trust expenses in order to limit
the expenses to 0.5625 of 1% of average net assets per year. As a result of
exceeding the expense limitation, management fees for the year ended June 30,
1995 were reduced by $199,639.
B. TRANSFER AGENT FEES. New England Funds is the transfer and shareholder
servicing agent for the Trusts. For the year ended June 30, 1995, the New
England Cash Management Trust and Tax Exempt Money Market Trust paid $2,111,479
and $76,391, respectively, to New England Funds as compensation for its
services in that capacity.
4. TRUSTEES FEES AND EXPENSES. The Trusts do not pay any compensation to
officers or trustees who are directors, officers, or employees of Back Bay
Advisors, NEIC, New England Funds or their affiliates, other than registered
investment companies.
18
<PAGE>
NOTES TO FINANCIAL STATEMENTS--continued
June 30, 1995
Each disinterested trustee is compensated by each series of the Cash Management
Trust and by the Tax Exempt Money Market Trust as follows:
<TABLE>
<CAPTION>
TAX EXEMPT MONEY
MONEY MARKET SERIES U.S. GOV'T SERIES MARKET TRUST
------------------- ----------------- ----------------
<S> <C> <C> <C>
Annual Retainer $2,400 $1,600 $1,600
Meeting Fee $125/meeting $125/meeting $125/meeting
Committee Meeting Fee $75/meeting $75/meeting $75/meeting
Committee Chairman
Annual Retainer $125 $125 $125
</TABLE>
A deferred compensation plan is available to members of the boards of trustees.
A trustee's participation in the plan is voluntary. Each participating trustee
will receive an amount equal to the value that such deferred compensation would
have, had it been invested in the relevant series or Trust on the normal
payment date.
5. CONCENTRATION OF CREDIT. The Tax Exempt Money Market Trust had the following
industry concentrations in excess of 10% on June 30, 1995 as a percentage of
the Trust's total net assets: Education (11%), Government (16%), Hospitals
(28%), Housing (16%), and Utilities (18%). The Trust also had more than 10% of
its total net assets invested in Florida (18%) and had more than 10% of its net
assets backed by letters of credit with Sumitomo Bank (15%).
19
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Trustees and Shareholders of New England Cash Management Trust
and New England Tax Exempt Money Market Trust
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of each of the two
series of the New England Cash Management Trust and New England Tax Exempt
Money Market Trust (formerly TNE Cash Management Trust and the TNE Tax Exempt
Money Market Trust) at June 30, 1995, the results of each of their operations
for the year then ended, the changes in each of their net assets for each of
the two years in the period then ended and the financial highlights for each of
the five years in the period then ended, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Trusts' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at June 30, 1995 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable basis
for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
August 7, 1995
20
<PAGE>
--------------------------------------------------------------------------------
New England Funds
--------------------------------------------------------------------------------
Stock Funds
International Equity Fund
Growth Fund
Star Advisers Fund
Capital Growth Fund
Value Fund
Growth Opportunities Fund
Balanced Fund
Bond Funds
High Income Fund
Strategic Income Fund
Government Securities Fund
Bond Income Fund
Limited Term U.S. Government Fund
Adjustable Rate U.S. Government Fund
Tax Exempt Funds
Tax Exempt Income Fund
Massachusetts Tax Free Income Fund
Intermediate Term Tax Free Fund of California
Intermediate Term Tax Free Fund of New York
Money Market Funds
Cash Management Trust
-- Money Market Series
-- U.S. Government Series
Tax Exempt Money Market Trust
To learn more, and for a free prospectus,
contact your financial representative.
New England Funds, L.P.
399 Boylston Street
Boston, MA 02116
Toll Free 800-225-5478
This material is authorized for distribution to prospective investors when it is
preceded or accompanied by the Fund's current prospectus, which contains
information about distribution charges, management and other items of interest.
Investors are advised to read the prospectus carefully before investing.
<PAGE>
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